Small parameter limit for ergodic, discrete-time, partially observed, risk-sensitive control problems

DOI10.1007/PL00009875zbMath0977.93082OpenAlexW2177697319MaRDI QIDQ5936216

Paolo Dai Pra, Francesca Albertini, Chiara Prior

Publication date: 3 January 2002

Published in: MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/pl00009875

zbMATH Keywords

infinite horizondynamic gameslarge deviationsdiscrete-timeinformation vectorspartially observed control problemsrisk-sensitive controlsmall noise limitvalue functions

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Large deviations (60F10) Dynamic games (91A25)

Related Items (3)

Risk-sensitivity vanishing limit for controlled Markov processes ⋮ Small noise methods for risk-sensitive/robust economies ⋮ Successive approximations in partially observable controlled Markov chains with risk-sensitive average criterion

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